Who Must File Form CT-1040NR/PY states that you must file if you had CT tax withheld or had CT source income. If you do have to file a CT return as a nonresident, the you can file for a credit with your MO return on any double taxed income.
Your MO return will automatically capture all income so be careful that your return shows the correct MO income. You can adjust wages in the w2 state section if needed. The federal and states already have their copy of the forms.
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